Neue Studien – November & Dezember 2022

Hinweis: Ich veröffentliche die Liste interessanter Studien hier mit einer Verzögerung. Die aktuelle Aufstellung erhalten Sie bei Anmeldung für meine monatliche Rundmail (kostenlos und werbefrei).


Insider Trading Restrictions and Informed Trading in Peer Stocks

As insider trading regulation gets stricter, insiders refrain from trading in their own stock using information about their own firm. Instead, they use information common between their own firm and peer firms to trade profitably in peer stocks.

Fazit: Clevere Umgehungsstrategie, die profitabel zu sein scheint


Choosing Pension Fund Investment Consultants

Our evidence is consistent with pension funds hiring consultants to shift responsibility rather than improve performance. […] Boards replace existing consultants only in response to extreme low performance.

Fazit: Das Karriererisiko ist ein gewichtiger Faktor im Asset Management.


Dark Trading and Financial Markets Stability

In 2018, the NASDAQ exchange came up with a solution to improve dark orders and shield them from HFTs. Introduced on March 12, 2018, the Midpoint Extended Life Order (M-ELO) […] is associated with fewer flash crashes, greater visible volumes in the limit order book, but widened spreads.

Fazit: Eigens konstruierte Orderarten können den Einfluss von High Frequency Tradern reduzieren.


Global Portfolio Diversification for Long-Horizon Investors

An increase in the cross-country correlations of discount rate shocks has a muted effect on portfolio risk at long horizons and does not diminish the benefits of global portfolio diversification to long-term investors. […] We don’t find evidence of an increase in the cross-country correlations of equity cash flow news or stock market volatility shocks.

Fazit: Für langfristige Anleger funktioniert internationale Diversifikation bei Aktien weiterhin.


„Buy the Rumor, Sell the News“: Liquidity Provision by Bond Funds Following Corporate News Events

We find that bond funds trade against the direction of news sentiment (e.g., selling after good news about a firm). Funds that most frequently trade against news sentiment produce a higher alpha, and a source of such alpha is bond price reversals post news events.

Fazit: Fonds profitieren bei Unternehmensanleihen von der Liquiditätsbereitstellung.


Desperate Capital Breeds Productivity Loss: Evidence from Public Pension Investments in Private Equity

While PE increased productivity at target firms until 2011, it substantially decreased productivity post 2011. In the time series, the decrease in labor productivity is correlated with an increase in capital from the most underfunded public pensions.

Fazit: Unternehmen, die von minderwertigen PE-Fonds unterstützt werden, verlieren an Produktivität.


Who Gets the Flow? Financial Globalisation and Wealth Inequality

Positive changes in the benchmark measure of financial globalisation are associated with a positive change in the top 1% and 10% wealth shares and a negative change in the wealth share of the bottom 50% of the distribution. […] The implied change in wealth shares is driven by the accumulation of new financial wealth (flow) rather than the valuation of existing one.

Fazit: Die Reichen werden vor allem durch den Ausbau ihrer Portfolios reicher.


Big Three Power, and Why it Matters

The three largest index fund managers – BlackRock; State Street Global Advisors; and Vanguard – collectively hold more than 20% of the shares of S&P 500 companies and almost 25% of the votes cast at the annual meetings of those companies. These substantial stakes give them correspondingly significant voting power, and with it, influence over the managers of the corporations in which they invest.

Fazit: Die drei größten Indexfondsanbieter versuchen, ihre Macht herunterzuspielen, haben aber tatsächlich großen Einfluss.


The Demand For Large Stocks

Most asset managers obey implicit and explicit limits on their asset concentration. […] Strong winners must be sold in order to sustain the limits on position size. […] While trend-chasing for small and new positions, the average mutual fund portfolio is a contrarian trader for its largest positions. […] Such forecastable trades generate stock demand that is inelastic and associated with return reversals.

Fazit: Eine gute Erklärung für kurzfristige Mean-Reversion-Effekte.


Do Local Forecasters Have Better Information?

Using individual GDP growth and inflation forecasts by professional forecasters for a panel of emerging and advanced economies, we show that foreign forecasters make more mistakes than local forecasters. The local forecasters‘ more accurate expectations is not due to a more irrational expectation formation by foreigners, but to local forecasters‘ more precise information.

Fazit: Prognosen von Einheimischen sind besser.


Portfolio Implications of a Positive Stock-Bond Correlation World

In a positive stock-bond correlation world, a balanced portfolio of stocks and bonds will deliver more volatile performance with a wider set of potential long-term outcomes – including more extreme tail events and deeper max drawdowns. Yet, even in a positive stock-bond correlation world, a balanced portfolio of stocks and bonds remains optimal with asset weights only slightly different than the optimal allocation when correlation is negative.

Fazit: Diversifikation in Aktien und Anleihen macht weiterhin Sinn.


Impact of YouTubers on Cryptocurrency Returns & Should You Listen to Crypto Youtubers?

(1) Social media events have a large, persistent, and statistically significant effect on cryptocurrency returns, with cumulative average abnormal returns of 8% 15 days after the publication of a YouTube video.
(2) We show that the release of YouTube videos covering low cap crypto coins and tokens entails subsequent positive and significant abnormal returns and trading volume. […] Only three days after the video has been published, prices revert and also trading volume returns to pre-release levels.

Fazit: Seriöse Investments sehen anders aus.


How Constrained Are the Shorts? A First Look at Mutual Fund Position-Level Securities Lending

When a significant portion of current lenders exit their holdings, the lending market experiences a contraction in supply of shares and a spike in lending fees. These findings suggest that short sellers might be more constrained than conventional statistics suggest. […] We find that stocks experiencing lender exits generate abnormally high returns in the months following the lender exits before reversing later.

Fazit: Leerverkäufe sind ein schwieriges Geschäft.


Short Sale Bans May Improve Market Quality During Crises: New Evidence from the 2020 Covid Crash

Short sale bans imposed by several market regulatory authorities during the Covid-related crisis of 2020 significantly improved liquidity for the most illiquid stocks, while it worsened it somewhat for stocks that were very liquid. […] Thus, policies that target the most illiquid stocks may deliver better overall market quality than uniform short sale bans imposed on all stocks.

Fazit: Bei illiquiden Aktien können Leerverkaufsverbote positiv wirken.


Riding off into the Sunset: Dual-Class Structure in the Age of Unicorns Going Public

Consistent with the life-cycle hypothesis, DCS firms outperform in the early years compared to single-share-class firms, but the early-stage outperformance dissipates after five to seven years from the IPOs. […] Founders‘ influence on the core technologies cannot be underestimated.

Fazit: Duale Aktienklassen mit „Sunset-Regel“ können für Tech-IPOs sinnvoll sein.


Connectedness between the Commodities Futures Market and the Food Market

There is a return spillover and co-movements between the food market and the commodity futures market. Corn futures and soybean futures are the major drivers of price changes in the food market. On the other hand, feeder cattle, live cattle and lean hog futures are the least contributors to return spillover in the food market.

Fazit: Mais- und Soja-Futures sind die Haupttreiber für Lebensmittelpreise.


Looking Under the Hood of Data-Mining

In sample, the returns of predictor portfolios constructed with the precise research decisions made in the original papers are significantly larger than those constructed with a random combination of decisions made in the literature. Out of sample, half of this difference disappears. […] The results suggest that statistical biases from research decisions explain a fifth of the return predictability in the literature.

Fazit: Data Mining ist nach wie vor ein großes Problem in der Finanzmarktforschung.


A Sheep in Wolf’s Clothing

Earnings have been about one-third as volatile as stock prices. […] Our findings are in agreement with the consensus among scholars and practitioners that stock market volatility arises mostly from changes in how much people value future earnings, rather than from changes in the expected future earnings themselves.

Fazit: Aktien sind deutlich weniger riskant, als ihre Volatilität es aussehen lässt.


Investing in Carbon Credits

Historical returns over the past five years show that there are diversification benefits from carbon investing across global markets. In addition, the correlation between returns on carbon markets and conventional assets such as stocks, bonds, and commodities, is low. […] Investors in futures markets should consider the negative effect of the roll yield embedded in carbon futures prices.

Fazit: Futures auf CO2-Emissionsrechte bieten Diversifikationspotenzial.


Cut Your Losses and Let Your Profits Run

„Cut your losses“ is not a good strategy as it clearly underperforms the benchmark buy-and-hold portfolio. The upside equivalent „cut your profits“ also clearly underperforms and generally leads to much larger losses relative to the benchmark than the cut-your-losses strategy. […] The costs associated with the disposition effect are due to „sell winners to early“ rather than due to „sell losers too late“.

Fazit: Buy and Hold ist schwer zu schlagen.


The Incentive Effects of Public Credit Guarantee Programs

Commercial loans backed by public credit guarantees (PCGs) are substantially more likely to default after origination than non-guaranteed loans. […] PCGs reduce banks‘ incentives to engage in costly screening and monitoring. Additionally, we find that PCGs reduce the likelihood and success rate of troubled loan restructurings, increasing the incidence of costly liquidations.

Fazit: Öffentliche Kreditgarantien sind mit höheren Ausfallquoten verbunden.


Why Do Equally Weighted Portfolios Beat Value-Weighted Ones?

EW investing comes with a highly significant positive size factor exposure. Given its acyclic rebalancing character, EW investing is also found to benefit from short-term reversal effects while suffering from negative momentum exposure. […] On average, the EW-VW spread is long higher volatility stocks and thus betting against the Low Volatility anomaly.

Fazit: Gleichgewichtete Portfolios performen besser, können aber nicht von allen Anlegern umgesetzt werden.


Who Creates and Who Bears Flow Externalities in Mutual Funds?

Investment funds are the main drivers of flow externalities in euro area equity mutual funds. In stark contrast, households and insurers are at the receiving end of these externalities. […] Our findings highlight negative effects arising from the trading activity of short-term institutional investors.

Fazit: Große Fondsverkäufe verursachen negative externe Effekte.


Trend Information and Cross-Sectional Returns: The Role of Analysts

We find that analyst recommendations provide additional useful information that can enhance the predictability of trend information, but the value of information reflected in their recommendations cannot offset the value of trend information.

Fazit: The trend is your friend 🙂


Are Analyst Recommendations Recommended?

Portfolios formed using a simple technical indicator (momentum) outperform investments based on analyst information. […] Since optimistic bias by analysts has increased over time, only the recommendation change strategy among information-based investments is important.

Fazit: Momentumstrategien sind besser als Analystenempfehlungen

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